His real name is Jamal. Da-Kho-Ji is his nick name given to him by his maternal grand father at the time of his birth. The name is in fact a two-word-phrase 'Dekho Ji'. It is said that when Jamal's par-nana held him in hands first time after birth he found the baby so cute that he couldn't express his pleasure and happiness in words and abruptly said to other members of the family 'Dekho Ji' and by that he meant to say 'look, how beautiful is the baby.'
However, Jamal's paternal grandfather major Nasir started calling the boy The Khoji (The Investigator) after realizing the boy's over-curious exploration of things during very early days of his life.